STATISTICAL DECISION ANALYSIS OF STOCHASTIC LINEAR PROGRAMMING PROBLEMS.

Abstract

This paper presents a statistical decision analysis of a one-stage linear programming problem with deterministic constraints and stochastic criterion function. Procedures for obtaining numerical results are given that are applicable to any problem having this general form. After stating the statistical decision problems to be considered, the expected value of perfect information and the expected value of sample information are discussed. In obtaining these quantities, use is made of the distribution of the optimal value of the linear programming problem with stochastic criterion function; therefore Monte Carlo and numerical integration procedures for estimating the mean of this distribution are discussed. The case in which the random criterion vector has a multivariate Normal distribution is presented separately, and more detailed methods are offered. (Author)

Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1966
Accession Number
AD0633427

Entities

People

  • Jerome Bracken
  • Richard M. Soland

Tags

DTIC Thesaurus Topics

  • Computer Programming
  • Linear Programming
  • Mathematics
  • Normal Distribution
  • Numerical Integration

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Regression Analysis.
  • Systems Analysis and Design